As with all fish and bugs in the Animal Crossing series, the Madagascan sunset moth can be donated to the Museum by talking to Blathers, who will also tell the player a little bit about the donation. Regarding the Madagascan Sunset Moth:

"The Madagascan sunset moth is said to be the most beautiful moth in the world...a sentiment even I can't deny. While most moths are nocturnal, this one flutters about during the day, making good use of the light. That is, when the daylight reflects off its wings, a kaleidoscope of colors are revealed! Oh! Eh...too bad it has such startling red feet as a caterpillar. I might have found it almost tolerable otherwise. Almost, but not quite."